- 1. Introduction
- 2. Base Model: Representing Loans as Securities
- 3. Extended Model: Collateral Correlated with Default Process
- 4. Calibration
- 5. Applications
- 5.1. Risk Management of a Complex Collateral Structure
- 5.2. Loan Portfolio Risk management
- 5.3. Applications of the Extended Model
- 6. Conclusion
- 7. Appendix
- Literatur
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